This year the curriculum replaced the rather conceptual reading of risks involved in fixed income investments with a fairly quantitative one by Jarrow. I’m having a hard time going through the formulas.
Does anyone know how to calculate the Risk-free Zero-Coupon Yields in the tables of Example 8 on pp. 285-288? I’m trying to duplicate the tables in Excel. If you can, just give me the formula to one cell and I’ll be fine. I know that he gave you the yields in questions 1-3, but I was wondering how he came up with the yields for Q4-5.
Another problem I ran into with Example 8 for quesitons 1-3 is that the today’s date is not what the question says if you want to get the correct Years to Maturity. The formula I’m using is Years To Maturity = (Payment Date - Today’s Date) / 365. For example, if you want to get a Yrs to Mat = 3.6384, then your start date should be 2/10/2011, as opposed to 08/11/2011. Did he make a mistake or did I? Can anyone explain?
I don’t have the curriculum (took L2 a couple years back). And there are more than a few folks like me hanging around. Without the curriculum, we can’t help. So scan/sceencap the problem and attach it.